Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0033
Annualized Std Dev 0.2645
Annualized Sharpe (Rf=0%) -0.0125

Row

Daily Return Statistics

Close
Observations 4420.0000
NAs 1.0000
Minimum -0.3414
Quartile 1 -0.0040
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0048
Maximum 0.4523
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0167
Skewness 2.4672
Kurtosis 186.6785

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0150
Loss Deviation 0.0150
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.8305
Historical VaR (95%) -0.0160
Historical ES (95%) -0.0350
Modified VaR (95%) NA
Modified ES (95%) -0.8047
From Trough To Depth Length To Trough Recovery
2004-03-16 2008-10-10 NA -0.8305 4284 1153 NA
2004-01-20 2004-01-27 2004-03-15 -0.0321 39 6 33
2003-11-18 2003-12-02 2003-12-31 -0.0296 30 10 20
2004-01-02 2004-01-02 2004-01-15 -0.0174 10 1 9
2003-09-23 2003-10-09 2003-10-15 -0.0079 17 13 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA 0 0 0.5 -0.6 0.8 0.7
2004 -0.7 0.2 0.8 0.2 -0.4 3.1 0.3 1.1 0 0.1 0.9 0.4 6.2
2005 0.5 0.7 0.8 0.9 0.1 0.5 0 -0.6 -0.4 1.3 0.3 -0.8 3.1
2006 0 0.3 0 -0.1 0.2 0.5 0.5 0.3 0.1 0.9 -0.5 0 2.2
2007 0.6 0.1 0 0 0.7 0.9 -0.6 1.1 1 -1.4 1.9 1.1 5.3
2008 0.2 0.1 0.6 -0.4 -0.3 -3.1 0.5 0.1 2.1 4.8 -3.8 2.5 3.1
2009 0.5 -3.2 1.8 1.4 4 0.6 1.2 0 -0.1 -3.1 1.2 0.1 4.3
2010 0.8 2.7 1.7 0.3 -0.7 -2 0.1 0.6 -0.4 0.6 -0.3 -0.1 3.1
2011 0.7 -0.4 -0.7 0.7 -1.6 -0.3 3.3 -0.3 -2.2 -0.4 -0.6 1.1 -0.7
2012 0 -0.1 0.3 0.3 -0.9 0.4 1.5 0.3 0.7 0.9 -0.4 1.6 4.6
2013 -0.8 -0.1 -0.3 0 -1.7 0.1 -0.7 -0.3 0.5 -0.2 0.7 0.9 -1.8
2014 0.3 -0.1 1.2 0.3 -0.1 0.2 -1.1 0.4 -0.5 0.2 -0.9 -2.1 -2.1
2015 -0.6 -0.2 -0.5 0.7 0.1 1.3 -0.1 -0.5 -0.6 0.5 0.3 -0.2 0.2
2016 2 -0.2 0.1 -0.2 0.4 -0.3 0.3 0.3 0.6 -2.3 -1.8 0.6 -0.5
2017 0.4 -0.1 0.9 0 0.6 0.6 0.4 0.2 0.5 0.7 0.3 1.3 5.9
2018 1.1 0 1.7 0.1 0.2 1 0.1 -0.5 0.6 0.7 -0.1 1.7 6.8
2019 0.5 0.9 0.7 0.7 -0.1 0.5 1.2 -0.5 1.2 0.6 -0.4 0.5 6
2020 0.7 -4.4 -5.6 -1.2 1.8 1.9 0.1 0.8 0.5 -0.8 1.1 0.3 -5
2021 0.5 0.5 0.6 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-08-27  25   SPY    100. 3.00e-4  -0.0031   0.0074   0.0495   0.0635   -0.335       NA <NA>     NA    NA       NA
2 2003-08-28  25.0 SPY    101. 6.20e-3  -0.0001   0.0161   0.0393   0.094    -0.330       NA <NA>     NA    NA       NA
3 2003-08-29  25   SPY    101. 6.70e-3   0.0167   0.0206   0.042    0.101    -0.328       NA <NA>     NA    NA       NA
4 2003-09-02  25.0 SPY    103. 1.34e-2   0.0287   0.0435   0.0517   0.120    -0.321       NA <NA>     NA    NA       NA
5 2003-09-03  25.0 SPY    103. 5.40e-3   0.0325   0.0492   0.0424   0.171    -0.317       NA <NA>     NA    NA       NA
6 2003-09-04  25   SPY    103. 5.00e-4   0.0327   0.0725   0.0377   0.155    -0.319       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart